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- W3128596118 abstract "We continue to study the credit risk model of a financial market introduced in [19] in which the dynamics of intensity rates of two default times are described by linear combinations of three independent geometric Brownian motions. The dynamics of two default-free risky asset prices are modeled by two geometric Brownian motions which are dependent of the ones describing the default intensity rates. We obtain closed form expressions for the no-arbitrage prices of some first-and second-to-default European style contingent claims given the reference filtration initially and progressively enlarged by the two successive default times. The accessible default-free reference filtration is generated by the standard Brownian motions driving the model." @default.
- W3128596118 created "2021-02-15" @default.
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- W3128596118 date "2021-01-24" @default.
- W3128596118 modified "2023-09-26" @default.
- W3128596118 title "First and second-to-default options in models with various information flows *" @default.
- W3128596118 hasPublicationYear "2021" @default.
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